| Close | |
|---|---|
| Annualized Return | 0.0928 |
| Annualized Std Dev | 0.2428 |
| Annualized Sharpe (Rf=0%) | 0.3824 |
| Close | |
|---|---|
| Observations | 5180.0000 |
| NAs | 1.0000 |
| Minimum | -0.1240 |
| Quartile 1 | -0.0072 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0083 |
| Maximum | 0.0882 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0153 |
| Skewness | -0.2271 |
| Kurtosis | 6.1619 |
| Close | |
|---|---|
| Semi Deviation | 0.0110 |
| Gain Deviation | 0.0106 |
| Loss Deviation | 0.0114 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0108 |
| Downside Deviation (0%) | 0.0108 |
| Maximum Drawdown | 0.6128 |
| Historical VaR (95%) | -0.0225 |
| Historical ES (95%) | -0.0355 |
| Modified VaR (95%) | -0.0238 |
| Modified ES (95%) | -0.0417 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-01-02 | -0.6128 | 1406 | 444 | 962 |
| 2018-08-23 | 2020-03-23 | 2021-01-06 | -0.4901 | 597 | 397 | 200 |
| 2002-05-06 | 2003-03-12 | 2003-12-01 | -0.3683 | 398 | 215 | 183 |
| 2001-05-23 | 2001-09-21 | 2001-12-27 | -0.2204 | 148 | 81 | 67 |
| 2015-06-24 | 2016-02-11 | 2016-07-12 | -0.2139 | 265 | 161 | 104 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | NA | 1.4 | 0 | 0.5 | 0.6 | 1.1 | -1.1 | 2.5 |
| 2001 | 0.6 | 0.1 | 1.6 | 0.8 | 0.6 | 1.7 | 1.2 | 0.2 | -2.5 | 0.7 | -0.2 | -1.3 | 3.5 |
| 2002 | -0.9 | 1.6 | 0.2 | 0.4 | 0.6 | -2.4 | -0.8 | -0.1 | 2.9 | 2.2 | -1.4 | 0.4 | 2.5 |
| 2003 | 2 | -0.1 | 0.9 | -0.2 | 2 | 0.4 | -1.4 | 0.3 | 2.8 | -0.5 | 1.5 | -1.5 | 6.3 |
| 2004 | -0.4 | 1.6 | 0.4 | -1 | 0.8 | -1.1 | 0.2 | 0.4 | 2.3 | 0.6 | 1.5 | -0.3 | 5 |
| 2005 | 0.5 | 1.1 | -0.2 | 0.8 | 1.2 | 0.2 | 0.3 | 0.4 | 0.2 | 0.7 | 2.1 | -0.7 | 6.8 |
| 2006 | 0.7 | 1.3 | 0.3 | 0 | 1.9 | 0.4 | -1.3 | 0.5 | -1.3 | -1.6 | -0.3 | -1 | -0.4 |
| 2007 | 0.9 | -0.5 | -0.1 | 0.8 | 1 | -1.3 | 0.5 | 1.2 | 2.4 | -3.7 | 0.1 | -0.3 | 1 |
| 2008 | 2.5 | -3 | 3.5 | 2.1 | 0 | 0 | 0.5 | -1 | -0.4 | 5.1 | -12.4 | 3.7 | -0.7 |
| 2009 | -2.2 | -1 | 2.4 | 0 | 4.5 | 2.3 | -0.3 | -2.4 | -3.2 | -2.8 | 1.7 | -1.5 | -2.8 |
| 2010 | 0.8 | 2 | 1 | -3.4 | -2.8 | -0.7 | 0 | 4 | 0.5 | -0.9 | 2.3 | -1.1 | 1.4 |
| 2011 | 2.2 | -1.7 | 0.3 | 0.1 | -3 | 1.7 | -0.4 | -2.2 | -2.8 | -3.5 | -0.9 | -1 | -10.8 |
| 2012 | 2.4 | 0.5 | -0.4 | -0.1 | -3.1 | 3.2 | -1.7 | 0.3 | 0.5 | 1.3 | -0.2 | 1.9 | 4.6 |
| 2013 | 1.1 | 0.3 | -1 | -2.4 | -0.9 | 1.3 | 1.4 | -1.7 | 1 | -0.2 | 0.1 | -0.1 | -1.3 |
| 2014 | -0.6 | 0.2 | 1 | -0.2 | -0.2 | 1.1 | 0 | 0.6 | -1.3 | 1.4 | -1.4 | -0.5 | 0 |
| 2015 | -2 | -0.3 | -0.1 | 0.5 | 0.3 | 0.4 | 0.5 | -2.8 | -0.6 | -0.3 | 0.7 | -1.2 | -4.8 |
| 2016 | -0.6 | 1.7 | 0 | -0.5 | 0.7 | 0.4 | -0.1 | -0.1 | 1.1 | -1.4 | -0.2 | -0.4 | 0.5 |
| 2017 | -0.1 | 1.8 | 0.2 | 0.3 | 1.9 | -0.1 | 0.3 | 0.9 | 0.1 | -0.6 | -0.5 | -0.7 | 3.6 |
| 2018 | 0.3 | -0.3 | 0.8 | 0.1 | 0.6 | -0.4 | -0.4 | 0.4 | -1.4 | 1.6 | 0.7 | 0.5 | 2.5 |
| 2019 | 0.1 | 0.6 | 1.6 | -1.1 | -1.5 | 0.3 | -2 | 0 | -1.9 | 1.7 | -0.7 | 0.3 | -2.6 |
| 2020 | -2.2 | -1.2 | -6.9 | -4.4 | 1.2 | -1.9 | -1 | 1.3 | 1.5 | -1.2 | 1.5 | 0.2 | -12.7 |
| 2021 | 1.3 | 3.1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.5 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-07-28 16.8 SPY 142. -0.0226 -0.0379 -0.0238 -0.0207 0.0704 NA NA <NA> NA NA NA
2 2000-07-31 16.9 SPY 143. 0.0057 -0.0268 -0.0089 -0.0283 0.074 NA NA <NA> NA NA NA
3 2000-08-01 17.1 SPY 144. 0.0068 -0.0233 -0.0097 -0.0017 0.0864 NA NA <NA> NA NA NA
4 2000-08-02 17.2 SPY 145. 0.005 -0.0088 -0.0182 0.021 0.107 NA NA <NA> NA NA NA
5 2000-08-03 17.1 SPY 146. 0.0069 0.0015 0.0067 0.0267 0.105 NA NA <NA> NA NA NA
6 2000-08-04 17.2 SPY 146. 0.0054 0.0301 0.0043 0.0198 0.123 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>